FAIR VALUE MEASUREMENT (Tables)

3 Months Ended

Mar. 31, 2015

Schedule of CVA and FVA applied to fair value of derivative instruments

The table below summarizes the CVA and FVA applied to the fair value of derivative instruments for the periods indicated:



	Credit and funding valuation adjustments contra-liability (contra-asset)
In millions of dollars	March 31, 2015			December 31, 2014
Counterparty CVA	$	(1,862	)	$	(1,853	)
Asset FVA	(560		)	(518		)
Citigroup (own-credit) CVA	553			580
Liability FVA	75			19
Total CVA—derivative instruments ⁽¹⁾	$	(1,794	)	$	(1,772	)


(1)	FVA is included with CVA for presentation purposes.

Schedule of pretax gains (losses) related to changes in CVA, FVA and DVA

The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periods indicated:



	Credit/funding/debt valuation adjustments gain (loss)
	Three Months Ended March 31,
In millions of dollars	2015			2014
Counterparty CVA	$	(139	)	$	7
Asset FVA	(42		)	—
Own-credit CVA	(36		)	(34		)
Liability FVA	57			—
Total CVA—derivative instruments	$	(160	)	$	(27	)
DVA related to own FVO liabilities	$	87		$	34
Total CVA and DVA ⁽¹⁾	$	(73	)	$	7


(1)	FVA is included with CVA for presentation purposes.

Items measured at fair value on a recurring basis

Fair Value Levels



In millions of dollars at March 31, 2015	Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3		Gross inventory		Netting⁽²⁾			Net balance
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	174,440	$	4,022	$	178,462	$	(42,568	)	$	135,894
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	25,230	$	818	$	26,048	$	—		$	26,048
Residential	—		2,174		2,130		4,304		—			4,304
Commercial	—		3,233		599		3,832		—			3,832
Total trading mortgage-backed securities	$	—	$	30,637	$	3,547	$	34,184	$	—		$	34,184
U.S. Treasury and federal agency securities	$	19,680	$	3,928	$	—	$	23,608	$	—		$	23,608
State and municipal	—		3,549		247		3,796		—			3,796
Foreign government	41,548		27,754		115		69,417		—			69,417
Corporate	595		23,801		767		25,163		—			25,163
Equity securities	50,782		4,156		2,598		57,536		—			57,536
Asset-backed securities	—		1,230		3,553		4,783		—			4,783
Other trading assets	—		8,522		4,393		12,915		—			12,915
Total trading non-derivative assets	$	112,605	$	103,577	$	15,220	$	231,402	$	—		$	231,402
Trading derivatives
Interest rate contracts	$	78	$	636,186	$	3,718	$	639,982
Foreign exchange contracts	1		174,759		1,509		176,269
Equity contracts	2,502		19,719		2,054		24,275
Commodity contracts	475		17,593		955		19,023
Credit derivatives	—		35,689		2,534		38,223
Total trading derivatives	$	3,056	$	883,946	$	10,770	$	897,772
Cash collateral paid ⁽³⁾							$	7,270
Netting agreements									$	(779,613	)
Netting of cash collateral received									(53,848		)
Total trading derivatives	$	3,056	$	883,946	$	10,770	$	905,042	$	(833,461	)	$	71,581
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	39,014	$	70	$	39,084	$	—		$	39,084
Residential	—		7,266		10		7,276		—			7,276
Commercial	—		505		2		507		—			507
Total investment mortgage-backed securities	$	—	$	46,785	$	82	$	46,867	$	—		$	46,867
U.S. Treasury and federal agency securities	$	112,018	$	9,336	$	5	$	121,359	$	—		$	121,359
State and municipal	$	—	$	9,998	$	2,247	$	12,245	$	—		$	12,245
Foreign government	36,262		50,222		575		87,059		—			87,059
Corporate	1,842		12,128		584		14,554		—			14,554
Equity securities	407		64		519		990		—			990
Asset-backed securities	—		10,987		517		11,504		—			11,504
Other debt securities	—		661		—		661		—			661
Non-marketable equity securities	—		285		2,285		2,570		—			2,570
Total investments	$	150,529	$	140,466	$	6,814	$	297,809	$	—		$	297,809



In millions of dollars at March 31, 2015	Level 1⁽¹⁾			Level 2⁽¹⁾			Level 3			Gross inventory		Netting⁽²⁾			Net balance
Loans⁽⁴⁾	$	—		$	2,669		$	3,906		$	6,575	$	—		$	6,575
Mortgage servicing rights	—			—			1,685			1,685		—			1,685
Non-trading derivatives and other financial assets measured on a recurring basis, gross	$	194		$	10,715		$	148		$	11,057
Cash collateral paid										29
Netting of cash collateral received												$	(2,150	)
Non-trading derivatives and other financial assets measured on a recurring basis⁽⁸⁾	$	194		$	10,715		$	148		$	11,086	$	(2,150	)	$	8,936
Total assets	$	266,384		$	1,315,813		$	42,565		$	1,632,061	$	(878,179	)	$	753,882
Total as a percentage of gross assets⁽⁵⁾	16.4		%	81.0		%	2.6		%
Liabilities
Interest-bearing deposits	$	—		$	1,185		$	465		$	1,650	$	—		$	1,650
Federal funds purchased and securities loaned or sold under agreements to repurchase	—			75,733			1,060			76,793		(42,568		)	34,225
Trading account liabilities
Securities sold, not yet purchased	50,368			14,652			223			65,243		—			65,243
Trading derivatives
Interest rate contracts	57			618,464			4,052			622,573
Foreign exchange contracts	5			179,226			863			180,094
Equity contracts	2,718			27,084			2,828			32,630
Commodity contracts	515			20,820			2,684			24,019
Credit derivatives	—			35,189			3,197			38,386
Total trading derivatives	$	3,295		$	880,783		$	13,624		$	897,702
Cash collateral received⁽⁶⁾										$	10,398
Netting agreements												$	(779,613	)
Netting of cash collateral paid												(51,292		)
Total trading derivatives	$	3,295		$	880,783		$	13,624		$	908,100	$	(830,905	)	$	77,195
Short-term borrowings	$	—		$	806		$	120		$	926	$	—		$	926
Long-term debt	—			18,213			7,196			25,409		—			25,409
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	1,960		$	8		$	1,968
Cash collateral received⁽⁷⁾										56
Total non-trading derivatives and other financial liabilities measured on a recurring basis	$	—		$	1,960		$	8		$	2,024	$	—		$	2,024
Total liabilities	$	53,663		$	993,332		$	22,696		$	1,080,145	$	(873,473	)	$	206,672
Total as a percentage of gross liabilities⁽⁵⁾	5.0		%	92.9		%	2.1		%

(1)

For the three months ended March 31, 2015, the Company transferred assets of approximately $0.6 billion from Level 1 to Level 2, primarily related to foreign government securities not traded in active markets. During the three months ended March 31, 2015, the Company transferred assets of approximately $1.8 billion from Level 2 to Level 1, primarily related to foreign government bonds and equity securities traded with sufficient frequency to constitute a liquid market. During the three months ended March 31, 2015, the Company transferred liabilities of approximately $0.2 billion from Level 2 to Level 1 and there were no material transfers of liabilities from Level 1 to Level 2.


(2)	Represents netting of: (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase; and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.


(3)	Reflects the net amount of $58,562 million of gross cash collateral paid, of which $51,292 million was used to offset derivative liabilities.


(4)	There is no allowance for loan losses recorded for loans reported at fair value.


(5)	Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.


(6)	Reflects the net amount of $64,246 million of gross cash collateral received, of which $53,848 million was used to offset derivative assets.


(7)	Reflects the net amount of $2,206 million of gross cash collateral received, of which $2,150 million was used to offset non-trading derivative assets.


(8)	Includes assets transferred as a result of the announced sale of OneMain Financial. For additional information see Note 2 to the Consolidated Financial Statements.

Fair Value Levels



In millions of dollars at December 31, 2014	Level 1⁽¹⁾		Level 2⁽¹⁾		Level 3		Gross inventory		Netting⁽²⁾			Net balance
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	187,922	$	3,398	$	191,320	$	(47,129	)	$	144,191
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	—		25,968		1,085		27,053		—			27,053
Residential	—		2,158		2,680		4,838		—			4,838
Commercial	—		3,903		440		4,343		—			4,343
Total trading mortgage-backed securities	$	—	$	32,029	$	4,205	$	36,234	$	—		$	36,234
U.S. Treasury and federal agency securities	$	15,991	$	4,483	$	—	$	20,474	$	—		$	20,474
State and municipal	—		3,161		241		3,402		—			3,402
Foreign government	37,995		26,736		206		64,937		—			64,937
Corporate	1,337		25,640		820		27,797		—			27,797
Equity securities	51,346		4,281		2,219		57,846		—			57,846
Asset-backed securities	—		1,252		3,294		4,546		—			4,546
Other trading assets	—		9,221		4,372		13,593		—			13,593
Total trading non-derivative assets	$	106,669	$	106,803	$	15,357	$	228,829	$	—		$	228,829
Trading derivatives
Interest rate contracts	$	74	$	634,318	$	4,061	$	638,453
Foreign exchange contracts	—		154,744		1,250		155,994
Equity contracts	2,748		19,969		2,035		24,752
Commodity contracts	647		21,850		1,023		23,520
Credit derivatives	—		40,618		2,900		43,518
Total trading derivatives	$	3,469	$	871,499	$	11,269	$	886,237
Cash collateral paid⁽³⁾							$	6,523
Netting agreements									$	(777,178	)
Netting of cash collateral received⁽⁶⁾									(47,625		)
Total trading derivatives	$	3,469	$	871,499	$	11,269	$	892,760	$	(824,803	)	$	67,957
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	—	$	36,053	$	38	$	36,091	$	—		$	36,091
Residential	—		8,355		8		8,363		—			8,363
Commercial	—		553		1		554		—			554
Total investment mortgage-backed securities	$	—	$	44,961	$	47	$	45,008	$	—		$	45,008
U.S. Treasury and federal agency securities	$	110,710	$	12,974	$	6	$	123,690	$	—		$	123,690
State and municipal	$	—	$	10,519	$	2,180	$	12,699	$	—		$	12,699
Foreign government	37,280		52,739		678		90,697		—			90,697
Corporate	1,739		9,746		672		12,157		—			12,157
Equity securities	1,770		274		681		2,725		—			2,725
Asset-backed securities	—		11,957		549		12,506		—			12,506
Other debt securities	—		661		—		661		—			661
Non-marketable equity securities	—		233		2,525		2,758		—			2,758
Total investments	$	151,499	$	144,064	$	7,338	$	302,901	$	—		$	302,901



In millions of dollars at December 31, 2014	Level 1⁽¹⁾			Level 2⁽¹⁾			Level 3			Gross inventory		Netting⁽²⁾			Net balance
Loans⁽⁴⁾	$	—		$	2,793		$	3,108		$	5,901	$	—		$	5,901
Mortgage servicing rights	—			—			1,845			1,845		—			1,845
Non-trading derivatives and other financial assets measured on a recurring basis, gross	$	—		$	9,352		$	78		$	9,430
Cash collateral paid⁽⁵⁾										123
Netting of cash collateral received⁽⁷⁾												$	(1,791	)
Non-trading derivatives and other financial assets measured on a recurring basis	$	—		$	9,352		$	78		$	9,553	$	(1,791	)	$	7,762
Total assets	$	261,637		$	1,322,433		$	42,393		$	1,633,109	$	(873,723	)	$	759,386
Total as a percentage of gross assets⁽⁵⁾	16.1		%	81.3		%	2.6		%
Liabilities
Interest-bearing deposits	$	—		$	1,198		$	486		$	1,684	$	—		$	1,684
Federal funds purchased and securities loaned or sold under agreements to repurchase	—			82,811			1,043			83,854		(47,129		)	36,725
Trading account liabilities
Securities sold, not yet purchased	59,463			11,057			424			70,944		—			70,944
Trading account derivatives
Interest rate contracts	77			617,933			4,272			622,282
Foreign exchange contracts	—			158,354			472			158,826
Equity contracts	2,955			26,616			2,898			32,469
Commodity contracts	669			22,872			2,645			26,186
Credit derivatives	—			39,787			3,643			43,430
Total trading derivatives	$	3,701		$	865,562		$	13,930		$	883,193
Cash collateral received⁽⁷⁾										$	9,846
Netting agreements												$	(777,178	)
Netting of cash collateral paid⁽³⁾												(47,769		)
Total trading derivatives	$	3,701		$	865,562		$	13,930		$	893,039	$	(824,947	)	$	68,092
Short-term borrowings	$	—		$	1,152		$	344		$	1,496	$	—		$	1,496
Long-term debt	—			18,890			7,290			26,180		—			26,180
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross	$	—		$	1,777		$	7		$	1,784
Cash collateral received⁽⁸⁾										$	7
Netting of cash collateral paid⁽⁵⁾												(15		)
Non-trading derivatives and other financial liabilities measured on a recurring basis	—			1,777			7			1,791		(15		)	1,776
Total liabilities	$	63,164		$	982,447		$	23,524		$	1,078,988	$	(872,091	)	$	206,897
Total as a percentage of gross liabilities⁽⁶⁾	5.9		%	91.9		%	2.2		%

(1)

For the year ended December 31, 2014, the Company transferred assets of approximately $4.1 billion from Level 1 to Level 2, primarily related to foreign government securities not traded with sufficient frequency to constitute an active market and Citi refining its methodology for certain equity contracts to reflect the prevalence of off-exchange trading. During the year ended December 31, 2014, the Company transferred assets of approximately $4.2 billion from Level 2 to Level 1, primarily related to foreign government bonds traded with sufficient frequency to constitute a liquid market. During the year ended December 31, 2014, the Company transferred liabilities of approximately $1.4 billion from Level 1 to Level 2, as Citi refined its methodology for certain equity contracts to reflect the prevalence of off-exchange trading. During the year ended December 31, 2014, there were no material liability transfers from Level 2 to Level 1.


(2)	Represents netting of: (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase; and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.


(3)	Reflects the net amount of $54,292 million of gross cash collateral paid, of which $47,769 million was used to offset derivative liabilities.


(4)	There is no allowance for loan losses recorded for loans reported at fair value.


(5)	Reflects the net amount of $138 million of gross cash collateral paid, of which $15 million was used to offset non-trading derivative liabilities.


(6)	Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.


(7)	Reflects the net amount of $57,471 million of gross cash collateral received, of which $47,625 million was used to offset derivative assets.


(8)	Reflects the net amount of $1,798 million of gross cash collateral received, of which $1,791 million was used to offset derivative assets.

Changes in level 3 fair value category

Level 3 Fair Value Rollforward



				Net realized/unrealized gains (losses) incl. in					Transfers																			Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Dec. 31, 2014			Principal transactions			Other⁽¹⁾⁽²⁾		into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Mar. 31, 2015
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,398		$	(40	)	$	—	$	—		$	(100	)	$	764	$	—	$	—		$	—		$	4,022		$	71
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	1,085			3			—		294			(510		)	167		—		(221		)	—			818			(2		)
Residential	2,680			77			—		45			(216		)	498		—		(954		)	—			2,130			(106		)
Commercial	440			15			—		88			(13		)	320		—		(251		)	—			599			(4		)
Total trading mortgage-backed securities	$	4,205		$	95		$	—	$	427		$	(739	)	$	985	$	—	$	(1,426	)	$	—		$	3,547		$	(112	)
U.S. Treasury and federal agency securities	$	—		$	—		$	—	$	—		$	—		$	—	$	—	$	—		$	—		$	—		$	—
State and municipal	241			(8		)	—		14			(7		)	9		—		(2		)	—			247			(7		)
Foreign government	206			(3		)	—		27			(92		)	66		—		(40		)	(49		)	115			1
Corporate	820			76			—		13			(59		)	347		—		(430		)	—			767			32
Equity securities	2,219			(21		)	—		124			(15		)	382		—		(91		)	—			2,598			5
Asset-backed securities	3,294			127			—		65			(34		)	1,063		—		(962		)	—			3,553			194
Other trading assets	4,372			(141		)	—		210			(392		)	1,002		13		(663		)	(8		)	4,393			(15		)
Total trading non-derivative assets	$	15,357		$	125		$	—	$	880		$	(1,338	)	$	3,854	$	13	$	(3,614	)	$	(57	)	$	15,220		$	98
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	(211	)	$	(70	)	$	—	$	(134	)	$	7		$	6	$	—	$	(3	)	$	71		$	(334	)	$	(282	)
Foreign exchange contracts	778			(301		)	—		41			4			91		—		(95		)	128			646			174
Equity contracts	(863		)	(29		)	—		(23		)	101			89		—		(65		)	16			(774		)	110
Commodity contracts	(1,622		)	(334		)	—		182			16			—		—		—			29			(1,729		)	(263		)
Credit derivatives	(743		)	(98		)	—		82			53			—		—		—			43			(663		)	(187		)
Total trading derivatives, net⁽⁴⁾	$	(2,661	)	$	(832	)	$	—	$	148		$	181		$	186	$	—	$	(163	)	$	287		$	(2,854	)	$	(448	)



			Net realized/unrealized gains (losses) incl. in						Transfers																		Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Dec. 31, 2014		Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3		out of Level 3			Purchases			Issuances		Sales			Settlements			Mar. 31, 2015
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	38	$	—		$	(1	)	$	45	$	(12	)	$	—		$	—	$	—		$	—		$	70	$	(2	)
Residential	8		—			2			—		—			—			—		—			—			10		2
Commercial	1		—			—			2		(1		)	—			—		—			—			2		—
Total investment mortgage-backed securities	$	47	$	—		$	1		$	47	$	(13	)	$	—		$	—	$	—		$	—		$	82	$	—
U.S. Treasury and federal agency securities	$	6	$	—		$	—		$	—	$	—		$	—		$	—	$	(1	)	$	—		$	5	$	—
State and municipal	2,180		—			32			105		(139		)	233			—		(164		)	—			2,247		13
Foreign government	678		—			51			—		(105		)	174			—		(111		)	(112		)	575		(22		)
Corporate	672		—			(26		)	2		(41		)	14			—		(4		)	(33		)	584		(20		)
Equity securities	681		—			(88		)	7		(3		)	—			—		(78		)	—			519		(3		)
Asset-backed securities	549		—			(40		)	—		(10		)	19			—		(1		)	—			517		(39		)
Other debt securities	—		—			—			—		—			—			—		—			—			—		—
Non-marketable equity securities	2,525		—			22			—		(1		)	1			—		—			(262		)	2,285		25
Total investments	$	7,338	$	—		$	(48	)	$	161	$	(312	)	$	441		$	—	$	(359	)	$	(407	)	$	6,814	$	(46	)
Loans	$	3,108	$	—		$	(54	)	$	689	$	—		$	209		$	321	$	(97	)	$	(270	)	$	3,906	$	(4	)
Mortgage servicing rights	1,845		—			(77		)	—		—			—			43		(32		)	(94		)	1,685		(77		)
Other financial assets measured on a recurring basis	78		—			6			66		(2		)	3			60		(5		)	(58		)	148		(33		)
Liabilities
Interest-bearing deposits	$	486	$	—		$	—		$	—	$	—		$	—		$	—	$	—		$	(21	)	$	465	$	2
Federal funds purchased and securities loaned or sold under agreements to repurchase	1,043		(52		)	—			—		—			—			—		1			(36		)	1,060		(11		)
Trading account liabilities
Securities sold, not yet purchased	424		(10		)	—			92		(43		)	—			—		70			(330		)	223		(29		)
Short-term borrowings	344		(7		)	—			1		(12		)	—			16		—			(236		)	120		(21		)
Long-term debt	7,290		286			—			712		(947		)	—			949		—			(522		)	7,196		(193		)
Other financial liabilities measured on a recurring basis	7		—			(3		)	—		—			(1		)	—		—			(1		)	8		(1		)


(1)	Changes in fair value for available-for-sale investments are recorded in Accumulated other comprehensive income (loss), unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.


(2)	Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.


(3)	Represents the amount of total gains or losses for the period, included in earnings (and Accumulated other comprehensive income (loss) for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at March 31, 2015.


(4)	Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.



				Net realized/unrealized gains (losses) incl. in						Transfers																			Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Dec. 31, 2013			Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3			out of Level 3			Purchases		Issuances		Sales			Settlements			Mar. 31, 2014
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,566		$	(1	)	$	—		$	51		$	—		$	—	$	—	$	—		$	(165	)	$	3,451		$	(1	)
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed	1,094			81			—			179			(385		)	154		3		(321		)	(17		)	788			10
Residential	2,854			157			—			74			(153		)	976		—		(1,164		)	—			2,744			41
Commercial	256			5			—			35			(24		)	32		—		(63		)	—			241			5
Total trading mortgage-backed securities	$	4,204		$	243		$	—		$	288		$	(562	)	$	1,162	$	3	$	(1,548	)	$	(17	)	$	3,773		$	56
U.S. Treasury and federal agency securities	$	—		$	—		$	—		$	—		$	—		$	—	$	—	$	—		$	—		$	—		$	—
State and municipal	222			2			—			11			(104		)	9		—		(19		)	—			121			3
Foreign government	416			(6		)	—			49			(85		)	138		—		(139		)	—			373			(5		)
Corporate	1,835			27			—			187			(145		)	592		—		(828		)	(3		)	1,665			(30		)
Equity securities	1,057			(171		)	—			35			(5		)	532		—		(63		)	—			1,385			267
Asset-backed securities	4,342			269			—			33			(175		)	943		—		(1,971		)	—			3,441			164
Other trading assets	3,184			23			—			575			(464		)	1,064		—		(864		)	(66		)	3,452			21
Total trading non-derivative assets	$	15,260		$	387		$	—		$	1,178		$	(1,540	)	$	4,440	$	3	$	(5,432	)	$	(86	)	$	14,210		$	476
Trading derivatives, net⁽⁴⁾
Interest rate contracts	$	839		$	(348	)	$	—		$	36		$	9		$	18	$	—	$	(46	)	$	(275	)	$	233		$	(367	)
Foreign exchange contracts	695			138			—			(11		)	19			1		—		—			(13		)	829			211
Equity contracts	(858		)	152			—			(518		)	52			150		—		(94		)	(120		)	(1,236		)	(225		)
Commodity contracts	(1,393		)	75			—			30			31			—		—		—			(72		)	(1,329		)	67
Credit derivatives	(274		)	(63		)	—			(61		)	(30		)	1		—		(3		)	173			(257		)	(234		)
Total trading derivatives, net⁽⁴⁾	$	(991	)	$	(46	)	$	—		$	(524	)	$	81		$	170	$	—	$	(143	)	$	(307	)	$	(1,760	)	$	(548	)
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	187		$	—		$	48		$	24		$	(37	)	$	17	$	—	$	(39	)	$	(1	)	$	199		$	—
Residential	102			—			23			13			—			17		—		(125		)	—			30			2
Commercial	—			—			—			1			—			—		—		—			—			1			—
Total investment mortgage-backed securities	$	289		$	—		$	71		$	38		$	(37	)	$	34	$	—	$	(164	)	$	(1	)	$	230		$	2
U.S. Treasury and federal agency securities	$	8		$	—		$	—		$	—		$	—		$	—	$	—	$	(1	)	$	—		$	7		$	—
State and municipal	1,643			—			36			254			(285		)	373		—		(118		)	—			1,903			26
Foreign government	344			—			2			22			(42		)	49		—		(78		)	(23		)	274			(4		)
Corporate	285			—			(1		)	2			(1		)	247		—		(1		)	—			531			(2		)
Equity securities	815			—			16			6			—			1		—		(7		)	—			831			(4		)
Asset-backed securities	1,960			—			8			—			(42		)	48		—		(97		)	—			1,877			1
Other debt securities	50			—			(1		)	—			—			50		—		—			—			99			—
Non-marketable equity securities	4,347			—			49			67			—			252		—		(83		)	(524		)	4,108			1
Total investments	$	9,741		$	—		$	180		$	389		$	(407	)	$	1,054	$	—	$	(549	)	$	(548	)	$	9,860		$	20



			Net realized/unrealized gains (losses) incl. in						Transfers																	Unrealized gains (losses) still held⁽³⁾
In millions of dollars	Dec. 31, 2013		Principal transactions			Other⁽¹⁾⁽²⁾			into Level 3		out of Level 3			Purchases		Issuances		Sales			Settlements			Mar. 31, 2014
Loans	$	4,143	$	—		$	(28	)	$	—	$	—		$	153	$	50	$	(79	)	$	(97	)	$	4,142	$	(108	)
Mortgage servicing rights	2,718		—			(114		)	—		—			—		50		28			(96		)	2,586		(115		)
Other financial assets measured on a recurring basis	181		—			(2		)	—		—			—		36		(4		)	(32		)	179		(4		)
Liabilities
Interest-bearing deposits	$	890	$	—		$	(70	)	$	—	$	—		$	—	$	—	$	—		$	(25	)	$	935	$	(19	)
Federal funds purchased and securities loaned or sold under agreements to repurchase	902		(7		)	—			—		—			31		—		—			—			940		(9		)
Trading account liabilities
Securities sold, not yet purchased	590		10			—			18		(29		)	—		—		150			(237		)	482		(13		)
Short-term borrowings	29		(17		)	—			—		—			—		1		—			(20		)	27		—
Long-term debt	7,621		(284		)	25			959		(854		)	—		940		—			(279		)	8,646		(118		)
Other financial liabilities measured on a recurring basis	10		—			—			—		—			—		1		(3		)	(5		)	3		(1		)


(1)	Changes in fair value for available-for-sale investments are recorded in Accumulated other comprehensive income (loss), unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.


(2)	Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.


(3)	Represents the amount of total gains or losses for the period, included in earnings (and Accumulated other comprehensive income (loss) for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at March 31, 2014.


(4)	Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.

Significant valuation techniques and most significant unobservable inputs used in Level 3 fair value measurements

Valuation Techniques and Inputs for Level 3 Fair Value Measurements



As of March 31, 2015	Fair Value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted Average⁽⁴⁾
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,825	Model-based	Interest rate	1.09		%	1.58		%	1.56		%
				Credit - IR correlation	(24.00		)%	(1.00		)%	(9.71		)%
Mortgage-backed securities	$	2,388	Price-based	Price	$	10.00		$	110.21		$	81.78
	1,138		Yield analysis	Yield	0.67		%	29.53		%	4.45		%
State and municipal, foreign government, corporate and other debt securities	$	5,997	Price-based	Price	$	—		$	147.00		$	87.65
	1,530		Cash flow	Credit spread	25 bps			600 bps			278 bps
Equity securities⁽⁵⁾	$	2,539	Price-based	Price ⁽⁵⁾	$	—		$	146.22		$	91.88
	505		Cash flow	Yield	4.00		%	5.00		%	4.50		%
				WAL	0.01 years			3.72 years			1.07 years
Asset-backed securities	$	3,669	Price-based	Price	$	4.25		$	100.35		$	71.18
Non-marketable equity	$	1,087	Comparables analysis	Discount to price	—		%	100.00		%	7.51		%
	1,073		Price-based	EBITDA multiples	2.00		x	12.00		x	9.91		x
				PE ratio	8.10		x	18.20		x	8.69		x
				Price-to-book ratio	1.04		x	2.03		x	1.24		x
				Fund NAV⁽⁵⁾	$	1		$	62,880,962		$	28,520,572
Derivatives—Gross⁽⁶⁾
Interest rate contracts (gross)	$	7,674	Model-based	Mean reversion	(7.94		)%	20.00		%	0.69		%
Foreign exchange contracts (gross)	$	1,952	Model-based	Foreign exchange (FX) volatility	1.75		%	32.34		%	11.08		%
	323		Cash flow	Yield	0.22		%	12.30		%	3.39		%
				Interest rate	3.72		%	6.00		%	5.98		%
				Contingent event probability	80.00		%	99.00		%	96.00		%
Equity contracts (gross)⁽⁷⁾	$	4,550	Model-based	Equity volatility	10.00		%	76.62		%	25.89		%
				Forward price	90.70		%	111.88		%	95.79		%
				Equity-FX correlation	(88.20		)%	50.90		%	(38.70		)%
				Equity-equity correlation	(66.30		)%	94.50		%	34.80		%



As of March 31, 2015	Fair Value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted Average⁽⁴⁾
Commodity contracts (gross)	$	3,576	Model-based	Commodity volatility	5.00		%	60.00		%	20.00		%
				Commodity correlation	(52.00		)%	91.00		%	38.00		%
				Forward price	34.02		%	242.86		%	98.00		%
Credit derivatives (gross)	$	4,426	Model-based	Recovery rate	18.31		%	75.00		%	38.75		%
	1,299		Price-based	Credit correlation	5.00		%	95.00		%	50.70		%
				Price	$	0.10		$	147.00		$	43.22
				Credit spread	4 bps			1,393 bps			150 bps
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)⁽⁶⁾	$	81	Model-based	Redemption rate	13.00		%	99.50		%	67.20		%
	47		Yield analysis	Yield	1.33		%	5.78		%	3.32		%
	25		Price-based
Loans	$	1,780	Cash flow	Yield	1.60		%	4.50		%	2.23		%
	964		Model-based	Credit spread	39 bps			600 bps			223 bps
	723		Price-based	Appraised value	$433,676,137			$433,676,137			$433,676,137
	438		Yield analysis	Price	$	—		$	131.31		$	63.60
Mortgage servicing rights	$	1,590	Cash flow	Yield	4.81		%	23.64		%	7.33		%
				WAL	3.24 years			7.45 years			5.04 years
Liabilities
Interest-bearing deposits	$	465	Model-based	Equity-IR correlation	34.00		%	37.00		%	35.43		%
				Commodity correlation	(52.00		)%	91.00		%	38.00		%
				Commodity volatility	5.00		%	60.00		%	20.00		%
				Forward price	34.02		%	242.86		%	98.00		%
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	1,060	Model-based	Interest rate	0.87		%	2.01		%	1.72		%
Trading account liabilities
Securities sold, not yet purchased	$	184	Price-based	Price	$	—		$	105.54		$	33.74
	$	41	Model-based
Short-term borrowings and long-term debt	$	7,309	Model-based	Equity-equity correlation	(66.30		)%	94.80		%	34.89		%
				Mean reversion	1.00		%	20.00		%	10.50		%
				Equity volatility	15.41		%	32.00		%	15.85		%
				Credit correlation	87.50		%	87.50		%	87.50		%
				FX volatility	9.30		%	15.20		%	14.41		%
				Equity-FX correlation	(88.20		)%	50.90		%	(38.24		)%
				Forward price	34.02		%	242.86		%	94.40		%
				Commodity correlation	(52.00		)%	91.00		%	38.00		%
				Commodity volatility	5.00		%	60.00		%	20.00		%



As of December 31, 2014	Fair Value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted Average⁽⁴⁾
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	3,156	Model-based	Interest rate	1.27		%	1.97		%	1.80		%
Mortgage-backed securities	$	2,874	Price-based	Price	$	—		$	127.87		$	81.43
	1,117		Yield analysis	Yield	0.01		%	19.91		%	5.89		%
State and municipal, foreign government, corporate and other debt securities	$	5,937	Price-based	Price	$	—		$	124.00		$	90.62
	1,860		Cash flow	Credit spread	25 bps			600 bps			233 bps
Equity securities⁽⁵⁾	$	2,163	Price-based	Price ⁽⁵⁾	$	—		$	141.00		$	91.00
	679		Cash flow	Yield	4.00		%	5.00		%	4.50		%
				WAL	0.01 years			3.14 years			1.07 years
Asset-backed securities	$	3,607	Price-based	Price	$	—		$	105.50		$	67.01
Non-marketable equity	$	1,224	Price-based	Discount to price	—		%	90.00		%	4.04		%
	1,055		Comparables analysis	EBITDA multiples	2.90		x	13.10		x	9.77		x
				PE ratio	8.10		x	13.10		x	8.43		x
				Price-to-book ratio	0.99		x	1.56		x	1.15		x
				Fund NAV⁽⁵⁾	$	1		$	64,668,171		$	29,975,777
Derivatives—Gross⁽⁶⁾
Interest rate contracts (gross)	$	8,309	Model-based	Interest rate (IR) lognormal volatility	18.05		%	90.65		%	30.21		%
				Mean reversion	1.00		%	20.00		%	10.50		%
Foreign exchange contracts (gross)	$	1,428	Model-based	Foreign exchange (FX) volatility	0.37		%	58.40		%	8.57		%
	294		Cash flow	Interest rate	3.72		%	8.27		%	5.02		%
				IR-FX correlation	40.00		%	60.00		%	50.00		%
Equity contracts (gross)⁽⁷⁾	$	4,431	Model-based	Equity volatility	9.56		%	82.44		%	24.61		%
	502		Price-based	Equity forward	84.10		%	100.80		%	94.10		%
				Equity-FX correlation	(88.20		)%	48.70		%	(25.17		)%
				Equity-equity correlation	(66.30		)%	94.80		%	36.87		%
				Price	$	0.01		$	144.50		$	93.05
Commodity contracts (gross)	$	3,606	Model-based	Commodity volatility	5.00		%	83.00		%	24.00		%
				Commodity correlation	(57.00		)%	91.00		%	30.00		%
				Forward price	35.34		%	268.77		%	101.74		%
Credit derivatives (gross)	$	4,944	Model-based	Recovery rate	13.97		%	75.00		%	37.62		%
	1,584		Price-based	Credit correlation	—		%	95.00		%	58.76		%
				Price	$	1.00		$	144.50		$	53.86
				Credit spread	1 bps			3,380 bps			180 bps
				Upfront points	0.39			100.00			52.26
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)⁽⁶⁾	$	74	Model-based	Redemption rate	13.00		%	99.50		%	68.73		%
	11		Price-based	Forward Price	107.00		%	107.10		%	107.05		%
				Fund NAV	$	12,974		$	10,087,963		$	9,308,012



As of December 31, 2014	Fair Value⁽¹⁾ (in millions)		Methodology	Input	Low⁽²⁾⁽³⁾			High⁽²⁾⁽³⁾			Weighted Average⁽⁴⁾
Loans	$	1,095	Cash flow	Yield	1.60		%	4.50		%	2.23		%
	832		Model-based	Price	$	4.72		$	106.55		$	98.56
	740		Price-based	Credit spread	35 bps			500 bps			199 bps
	441		Yield analysis
Mortgage servicing rights	$	1,750	Cash flow	Yield	5.19		%	21.40		%	10.25		%
				WAL	3.31 years			7.89 years			5.17 years
Liabilities
Interest-bearing deposits	$	486	Model-based	Equity-IR correlation	34.00		%	37.00		%	35.43		%
				Commodity correlation	(57.00		)%	91.00		%	30.00		%
				Commodity volatility	5.00		%	83.00		%	24.00		%
				Forward price	35.34		%	268.77		%	101.74		%
Federal funds purchased and securities loaned or sold under agreements to repurchase	$	1,043	Model-based	Interest rate	0.74		%	2.26		%	1.90		%
Trading account liabilities
Securities sold, not yet purchased	$	251	Model-based	Credit-IR correlation	(70.49		)%	8.81		%	47.17		%
	$	142	Price-based	Price	$	—		$	117.00		$	70.33
Short-term borrowings and long-term debt	$	7,204	Model-based	IR lognormal volatility	18.05		%	90.65		%	30.21		%
				Mean reversion	1.00		%	20.00		%	10.50		%
				Equity volatility	10.18		%	69.65		%	23.72		%
				Credit correlation	87.50		%	87.50		%	87.50		%
				Equity forward	89.50		%	100.80		%	95.80		%
				Forward price	35.34		%	268.77		%	101.80		%
				Commodity correlation	(57.00		)%	91.00		%	30.00		%
				Commodity volatility	5.00		%	83.00		%	24.00		%


(1)	The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.


(2)	Some inputs are shown as zero due to rounding.


(3)	When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position.


(4)	Weighted averages are calculated based on the fair value of the instrument.


(5)	For equity securities, the price and fund NAV inputs are expressed on an absolute basis, not as a percentage of the notional amount.


(6)	Both trading and nontrading account derivatives—assets and liabilities—are presented on a gross absolute value basis.


(7)	Includes hybrid products.

Items measured at fair value of a nonrecurring basis

The following table presents the carrying amounts of all assets that were still held as of March 31, 2015 and December 31, 2014, for which a nonrecurring fair value measurement was recorded:



In millions of dollars	Fair value		Level 2		Level 3
March 31, 2015
Loans held-for-sale	$	6,168	$	3,130	$	3,038
Other real estate owned	112		21		91
Loans	855		506		349
Total assets at fair value on a nonrecurring basis	$	7,135	$	3,657	$	3,478



In millions of dollars	Fair value		Level 2		Level 3
December 31, 2014
Loans held-for-sale	$	4,152	$	1,084	$	3,068
Other real estate owned	102		21		81
Loans⁽¹⁾	3,367		2,881		486
Total assets at fair value on a nonrecurring basis	$	7,621	$	3,986	$	3,635


(1)	Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral, including primarily real-estate secured loans.

Valuation techniques and inputs for Level 3 nonrecurring fair value measurements

The following tables present the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the most significant unobservable inputs used in those measurements as of March 31, 2015 and December 31, 2014:



As of March 31, 2015	Fair Value⁽¹⁾ (in millions)		Methodology	Input	Low			High			Weighted average⁽²⁾
Loans held-for-sale	$	2,876	Price-based	Price	$	—		$	100.00		$	9.17
Other real estate owned	$	66	Price-based	Appraised Value	$	—		$	18,824,904		$	10,481,906
	19		Comparables analysis	Discount to price⁽⁴⁾	34.00		%	34.00		%	34.00		%
Loans⁽³⁾	$	259	Price-based	Discount to price⁽⁴⁾	13.00		%	34.00		%	24.51		%
				Appraised Value	$	3,817,920		$	33,267,917		$	26,152,931
				Yield	8.50		%	15.00		%	12.98		%


(1)	The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.


(2)	Weighted averages are calculated based on the fair value of the instrument.


(3)	Represents loans held for investment whose carrying amounts are based on the fair value of the underlying collateral.


(4)	Includes estimated costs to sell.



As of December 31, 2014	Fair Value⁽¹⁾ (in millions)		Methodology	Input	Low			High			Weighted average⁽²⁾
Loans held-for-sale	$	2,740	Price-based	Price	$	92.00		$	100.00		$	99.54
				Credit Spread	5 bps			358 bps			175 bps
Other real estate owned	$	76	Price-based	Appraised Value	$11,000			$11,124,137			$4,730,129
				Discount to price⁽⁴⁾	13.00		%	64.00		%	28.80		%
Loans⁽³⁾	$	437	Price-based	Discount to price⁽⁴⁾	13.00		%	34.00		%	28.92		%


(1)	The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.


(2)	Weighted averages are based on the fair value of the instrument.


(3)	Represents loans held for investment whose carrying amounts are based on the fair value of the underlying collateral.


(4)	Includes estimated costs to sell.

Changes in total nonrecurring fair value measurements

The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that are still held at March 31, 2015 and March 31, 2014:



	Three months ended March 31,
In millions of dollars	2015			2014
Loans held-for-sale	$	(6	)	$	74
Other real estate owned	(6		)	(7		)
Loans⁽¹⁾	(87		)	(211		)
Total nonrecurring fair value gains (losses)	$	(99	)	$	(144	)


(1)	Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, including primarily real-estate loans.

Estimated Fair Value of Financial Instruments

The table below presents the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The table below therefore excludes items measured at fair value on a recurring basis presented in the tables above.

The disclosure also excludes leases, affiliate investments, pension and benefit obligations and insurance policy claim reserves. In addition, contract-holder fund amounts exclude certain insurance contracts. Also, as required, the disclosure excludes the effect of taxes, any premium or discount that could result from offering for sale at one time the entire holdings of a particular instrument, excess fair value associated with deposits with no fixed maturity, and other expenses that would be incurred in a market transaction. In addition, the table excludes the values of non-financial assets and liabilities, as well as a wide range of franchise, relationship and intangible values, which are integral to a full assessment of Citigroup’s financial position and the value of its net assets.

The fair value represents management’s best estimates based on a range of methodologies and assumptions. The carrying value of short-term financial instruments not accounted for at fair value, as well as receivables and payables arising in the ordinary course of business, approximates fair value because of the relatively short period of time between their origination and expected realization. Quoted market prices are used when available for investments and for liabilities, such as long-term debt not carried at fair value. For loans not accounted for at fair value, cash flows are discounted at quoted secondary market rates or estimated market rates if available. Otherwise, sales of comparable loan portfolios or current market origination rates for loans with similar terms and risk characteristics are used. Expected credit losses are either embedded in the estimated future cash flows or incorporated as an adjustment to the discount rate used. The value of collateral is also considered. For liabilities such as long-term debt not accounted for at fair value and without quoted market prices, market borrowing rates of interest are used to discount contractual cash flows.



	March 31, 2015				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	29.0	$	30.7	$	4.3	$	23.8	$	2.6
Federal funds sold and securities borrowed or purchased under agreements to resell	103.1		103.1		—		96.0		7.1
Loans⁽¹⁾⁽²⁾	597.3		597.1		—		6.1		591.0
Other financial assets⁽²⁾⁽³⁾	219.0		219.0		8.1		147.7		63.2
Liabilities
Deposits	$	898.0	$	890.3	$	—	$	735.3	$	155.0
Federal funds purchased and securities loaned or sold under agreements to repurchase	141.1		141.1		—		140.9		0.2
Long-term debt⁽⁴⁾	185.1		192.0		—		169.8		22.2
Other financial liabilities⁽⁵⁾	125.6		125.6		—		31.7		93.9



	December 31, 2014				Estimated fair value
	Carrying value		Estimated fair value
In billions of dollars					Level 1		Level 2		Level 3
Assets
Investments	$	30.5	$	32.2	$	4.5	$	25.2	$	2.5
Federal funds sold and securities borrowed or purchased under agreements to resell	98.4		98.4		—		89.7		8.7
Loans⁽¹⁾⁽²⁾	620.0		617.6		—		5.6		612.0
Other financial assets⁽²⁾⁽³⁾	213.8		213.8		8.3		151.9		53.6
Liabilities
Deposits	$	897.6	$	894.4	$	—	$	766.7	$	127.7
Federal funds purchased and securities loaned or sold under agreements to repurchase	136.7		136.7		—		136.5		0.2
Long-term debt⁽⁴⁾	196.9		202.5		—		172.7		29.8
Other financial liabilities⁽⁵⁾	136.2		136.2		—		41.4		94.8


(1)	The carrying value of loans is net of the Allowance for loan losses of $14.6 billion for March 31, 2015 and $16.0 billion for December 31, 2014. In addition, the carrying values exclude $2.6 billion and $2.7 billion of lease finance receivables at March 31, 2015 and December 31, 2014, respectively.


(2)	Includes items measured at fair value on a nonrecurring basis.


(3)	Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverable and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.


(4)	The carrying value includes long-term debt balances under qualifying fair value hedges.


(5)	Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.